Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0417 |
| Annualized Std Dev | 0.2192 |
| Annualized Sharpe (Rf=0%) | 0.1902 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5091.0000 |
| NAs | 1.0000 |
| Minimum | -0.1198 |
| Quartile 1 | -0.0050 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0062 |
| Maximum | 0.1248 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0138 |
| Skewness | -0.1680 |
| Kurtosis | 10.7697 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0100 |
| Gain Deviation | 0.0100 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0099 |
| Downside Deviation (0%) | 0.0099 |
| Maximum Drawdown | 0.6966 |
| Historical VaR (95%) | -0.0213 |
| Historical ES (95%) | -0.0341 |
| Modified VaR (95%) | -0.0201 |
| Modified ES (95%) | -0.0297 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-10-02 | 2009-03-09 | 2014-11-21 | -0.6966 | 3501 | 2062 | 1439 |
| 2020-02-20 | 2020-03-23 | 2020-07-06 | -0.3156 | 95 | 23 | 72 |
| 2018-10-02 | 2018-12-24 | 2019-04-23 | -0.2095 | 139 | 58 | 81 |
| 2015-11-04 | 2016-02-11 | 2016-07-12 | -0.1374 | 172 | 68 | 104 |
| 2015-07-21 | 2015-08-25 | 2015-11-02 | -0.1179 | 74 | 26 | 48 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -2.6 | -0.8 | -0.7 | -4.1 |
| 2001 | -0.2 | -5.3 | -0.2 | 2.1 | -0.4 | 1.1 | 0.8 | 1.2 | -1.4 | 1.4 | 0.3 | -0.6 | -1.3 |
| 2002 | -0.3 | 2.4 | -0.1 | 0.3 | 0.7 | -0.1 | -0.3 | -1.2 | 3.6 | 0.4 | 0.2 | 1.8 | 7.5 |
| 2003 | 0.6 | 1.1 | -0.1 | -0.4 | 1.1 | 1 | -1.7 | 1.1 | 1.6 | 0.4 | 0.6 | 0.2 | 5.6 |
| 2004 | 0 | 0.8 | -0.1 | -0.3 | 0 | -1.5 | 0.3 | 0.7 | 1.7 | 0.1 | 1.6 | -0.2 | 3.1 |
| 2005 | 0.5 | 0.7 | -1.4 | 0 | 0.4 | 0 | 0.1 | 0 | 0.5 | -1.1 | 1.4 | -0.5 | 0.6 |
| 2006 | -0.4 | 1.2 | -0.2 | -0.1 | 1.6 | 0.2 | -0.7 | 0.4 | -0.2 | -0.9 | -0.6 | -0.4 | -0.2 |
| 2007 | 0.2 | -0.4 | 0.3 | 0.1 | 0.4 | -0.2 | 0.7 | 1.1 | 1.3 | -1.8 | 0.1 | -0.7 | 1.2 |
| 2008 | 1.9 | -2.6 | 2.9 | 1.9 | 0.7 | -0.1 | -0.8 | -1.3 | -1.5 | 1.4 | -7.4 | 1.7 | -3.5 |
| 2009 | -2.4 | -1 | 1.5 | 0.2 | 3.4 | 0.1 | 0 | -1.5 | -2.5 | -2.5 | 2 | -1 | -4 |
| 2010 | 1 | 1.4 | 0 | -1.7 | -1.9 | -0.3 | 0.2 | 3.1 | 0 | 0.3 | 2.1 | -0.2 | 4 |
| 2011 | 1.4 | -1.4 | 0.3 | 0.1 | -1.4 | 1.3 | -0.5 | -1.1 | -2 | -2.6 | 0.4 | -0.2 | -5.6 |
| 2012 | 0.7 | 0.5 | 0.3 | 0.7 | -2.3 | 2.4 | -0.5 | 0.5 | 0.3 | 1.1 | 0 | 1.9 | 5.8 |
| 2013 | 0.9 | 0.5 | -0.6 | -0.7 | -1.5 | 0.9 | 1.3 | -0.4 | 0.8 | 0.1 | 0.1 | 0.6 | 2 |
| 2014 | -0.7 | 0.1 | 1 | 0.1 | 0.2 | 1 | -0.2 | 0.2 | -1.4 | 1.2 | -0.9 | -0.8 | -0.4 |
| 2015 | -1.3 | -0.4 | -0.5 | 1.3 | 0.2 | 0.4 | -0.1 | -2.7 | 0.1 | -0.5 | 1 | -1.1 | -3.6 |
| 2016 | 0.2 | 2.6 | 0.8 | -0.4 | 0.1 | 0.4 | 0.1 | 0.1 | 0.6 | -0.9 | -1.1 | -0.6 | 1.9 |
| 2017 | 0.3 | 1.2 | -0.1 | 0.4 | 0.5 | 0.2 | 0.3 | 0.1 | 0.4 | 0 | -0.3 | -0.4 | 2.6 |
| 2018 | -0.4 | -1.5 | 1.7 | 0.7 | 1.3 | 0.1 | 0.3 | 0.1 | 0.3 | 1.2 | 0.9 | 1 | 5.9 |
| 2019 | 0 | 0.8 | 1 | -1 | -1.3 | 0.9 | -0.4 | -0.1 | -1.2 | 0.6 | -0.4 | 0.2 | -1.1 |
| 2020 | -1.7 | 0.2 | -4.4 | -2.6 | 0.6 | 1 | 1.5 | 1.4 | 0.9 | -1.8 | 1.2 | 0.3 | -3.6 |
| 2021 | 2.2 | 2.6 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
